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Strategy allocation with external signal position sizing - Printable Version

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Strategy allocation with external signal position sizing - anis - 12-20-2022

Hi guys! 

New to Alera but looks like a great platform. I'm using Amibroker to generate my signals and position sizing.

My question is about the strategy allocation. In the documentation you mention that following:

Quote:Your Strategy Allocation value does not prevent orders from being placed if they will make the strategy exceed its allocation.

Then you state that you should setup the custom lot size and max positions in order not to exceed that allocation. That assumes you want equal position sizes e.g. 10 positions of 10% each. In my case, I'm using Van Tharp's percent volatility sizing. That obviously means my position sizes will vary and I don't know how many positions it will take to fully utilize the allocation. When I ran my strategy with max positions set to 20. It opened 20 positions and the total invested exceeded the allocation. 

Can you please explain what's the purpose of the allocation if it doesn't restrict the executions? And how would I configure my settings to accomodate my variable position sizing? 

Thank you!


RE: Strategy allocation with external signal position sizing - admin - 12-24-2022

I responded by email and we can continue correspondence through that channel, but for others who are seeing this, a possible solution would be to use the "soft cap" feature mentioned here https://aleratrading.com/forum/showthread.php?tid=4
You can take a guess as to how many positions on average will give you 100% allocation and set the soft cap to that many positions.

Based on a brief look into Van Tharp's percent volatility sizing, it looks like you already know the % of your portfolio that you'd like each position to have, so it might make sense to use signals in the form LONG AAPL 20 %PORTFOLIO
If you're looking to have limit orders totaling more than 100% of your allocation, but have only some of those orders are filled, then using the soft-cap method above with an estimated max number of positions would be a good starting point.